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I too use Comodo firewall which is really awesome, I highly recommend that product..
Features:
Fast and hassle-free online experience
Blocks all Internet attacks
Monitors in/out connections
Manages traffic on your PC
Secures all connections when you are online

I've been very satisfied with PC Tools Personal Firewall. Not bloated with running processes or NT services like many other firewalls. Sheer simplicity and it updates itself. Remember to turn off Windows firewall when using another firewall, unless Windows firewall is forced off when installing or running your preferred program.